An Introduction to Analysis of Financial Data with R

I am often asked by readers of Analysis of Financial Time Series: Can you make the analysis of financial data easier? I am also asked by my students: How to simplify the empirical work and what is the relevance of statistics to finance? These are important questions. They motivate me to write this introductory text.

To simplify empirical data analysis, I decided to use R for all analyses. My decision is based on several reasons. First, R is free and available for most operating systems. Second, many researchers have developed nice packages for analyzing financial data, especially RMetrics has many useful packages. Third, the capability of R packages improves dramatically and rapidly. This trend is expected to continue. Fourth, I wrote some simple R scripts to perform specific analyses in several places. These scripts serve two purposes. They attain to the special need I have in presenting the concepts and methods. More importantly, they demonstrate that once a reader has some experience with R, he/she can easily tailor R commands and scripts into his/her need to simplify analysis of financial data.

To simplify the concept of econometric and statistical theory, I tried to present it in a concise manner and used extensively real examples in demonstration. The book has seven chapters; two of them are case studies. These two chapters demonstrate the relevance of statistics in finance. ...